A Quantitative Liquidity Model for Banks 2010 (Paperback)
  • A Quantitative Liquidity Model for Banks 2010 (Paperback)
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A Quantitative Liquidity Model for Banks 2010 (Paperback)

(author)
£66.99
Paperback 223 Pages / Published: 27/10/2009
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Christian Schmaltz identifies product cash flows, funding spread, funding capacity, haircuts, and short-term interest rates as key liquidity variables. Then, he assumes specific stochastic processes for the key variables leading to a particular liquidity model. The model is used to derive liquidity funds transfer prices and to optimally manage liquidity.

Publisher: Springer Fachmedien Wiesbaden
ISBN: 9783834918222
Number of pages: 223
Weight: 302 g
Dimensions: 210 x 148 x 13 mm
Edition: 2010 ed.

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